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ArticleOptimal inventory and hedging decisions with CVaR consideration

Weili Xue2015

Article2015

Optimal inventory and hedging decisions with CVaR consideration

Weili Xue · Lijun Ma · Houcai Shen

76 citations·0/0 files stored·International Journal of Production Economics

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Supply Chain and Inventory Management Stochastic processes and financial applications Risk and Portfolio Optimization

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References

2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 2000Decision Bias in the Newsvendor Problem with a Known Demand Distribution: Experimental Evidence 2001Value at Risk 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management 1995The Risk-Averse (and Prudent) Newsboy

Cited by

2021Optimization models for supply chains under risk, uncertainty, and resilience: A state-of-the-art review and future research directions 2019Conditional value‐at‐risk beyond finance: a survey 2017Coping with risk management and fill rate in the loss-averse newsvendor model 2018The impact of customer returns and bidirectional option contract on refund price and order decisions 2017The loss-averse newsvendor model with backordering 2017Joint order and pricing decisions for fresh produce with put option contracts

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2007Value of a put option to the risk-averse newsvendorarticle · 8 shared references 2010Optimal decisions when balancing expected profit and conditional value-at-risk in newsvendor modelsarticle · 8 shared references 2014Mean-Variance Newsvendor Model with Random Supply and Financial Hedgingarticle · 8 shared references 2010A price-setting newsvendor model under CVaR decision criterion with emergency procurementarticle · 8 shared references 2011Joint optimal ordering and weather hedging decisions: mean-CVaR modelarticle · 8 shared references 2013Loss-Averse Inventory and Borrowing Decisions with Constraints on Working Capital in Fashion and Textiles Industryarticle · 8 shared references

Details

Year2015

Typearticle

Published2015-01-22

VenueInternational Journal of Production Economics

ISSN-L0925-5273

Languageen

Citations76

Files0 public / 0

ShelfSupply Chain and Inventory Management

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doi10.1016/j.ijpe.2015.01.011

openalex_workW1964751611

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2018Option contract strategies with risk‐aversion and emergency purchase

2019Supply chain coordination with put option contracts and customer returns